This paper presents a theoretically sound portfolio performance measure that takes into account higher moments of distribution. This measure is motivated by a study of the investor's preferences to higher moments of distribution within Expected Utility Theory and an approximation analysis of the...

In this paper we examine the problem of finding investors' reservation option prices and corresponding early exercise policies of American- style options in the market with proportional transaction costs using the utility based approach proposed by Davis and Zariphopoulou (1995). We present a...